Background Risk and Small-Stakes Risk Aversion

被引：2

作者：

Mu, Xiaosheng ^{[1
]}

Pomatto, Luciano ^{[2
]}

Strack, Philipp ^{[3
]}

Tamuz, Omer ^{[2
]}

机构：

[1] Princeton Univ, Princeton, NJ 08544 USA

[2] CALTECH, Pasadena, CA 91125 USA

[3] Yale Univ, New Haven, CT USA

来源：

AMERICAN ECONOMIC REVIEW-INSIGHTS | 2024年 / 6卷 / 02期

基金：

美国国家科学基金会;

关键词：

PROSPECT-THEORY; CALIBRATION; ATTITUDES; DECISION;

D O I：

10.1257/aeri.20220480

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Building on Pomatto , Strack , and Tamuz ( 2020 ), we identify a tight condition for when background risk can induce first -order stochastic dominance . Using this condition , we show that under plausible levels of background risk , no theory of choice under risk can simultaneously satisfy the following three economic postulates: ( i ) decision-makers are risk averse over small gambles , ( ii ) their preferences respect stochastic dominance , and ( iii ) they account for background risk . This impossibility result applies to expected utility theory , prospect theory , rank -dependent utility , and many other models . ( JEL D81, D91 )

引用

页码：262 / 276

页数：15

共 32 条

[1] Asset Integration and Attitudes toward Risk: Theory and Evidence [J].